## Search found 32 matches

Thu Apr 01, 2010 1:09 am
Forum: Estimation
Topic: State Space model and initial values
Replies: 2
Views: 2220

### Re: State Space model and initial values

Tue Mar 30, 2010 4:12 am
Forum: Estimation
Topic: State Space model and initial values
Replies: 2
Views: 2220

### Re: State Space model and initial values

Dear guys, I think to have solved the problem. I have inserted as starting values of C(3) and C(4) (parameters of cycle component) the values of a previous OLS estimation, and for others parameters I have inserted the value 0. All coefficients are statistically significant except for C(5). Only a qu...
Sun Mar 28, 2010 5:26 pm
Forum: Estimation
Topic: State Space model and initial values
Replies: 2
Views: 2220

### State Space model and initial values

Dear guys, I write you because I have a problem setting the initial values for state space model. I'm trying to calculate potential GDP from unobserved component following the usual Clark (1987) notation: @signal log(GDP)*100=sv1+sv2 @state sv1=C(1)+sv1(-1)+ [var = exp(C(2))] @state sv2=C(3)*sv2(-1)...
Sat Oct 17, 2009 3:50 pm
Forum: Econometric Discussions
Topic: help to panel estimation result
Replies: 0
Views: 1606

### help to panel estimation result

Hi guys. I'm new in estimation with panel data (I worked with time series for years). I estimates an unbalanced panel data with TSLS. The result of this output is the following reported below. Anyone can help me to suggest me which kind of tests are needed to justify this result? In the "panel ...
Wed Oct 07, 2009 6:22 am
Forum: Econometric Discussions
Topic: Structural break ath the end of the sample
Replies: 3
Views: 3350

### Re: Structural break ath the end of the sample

Dear trubador, can you help me interpret this result? I used DOLS technique (Stock-Watson (1993)) to estimate a long run relationship. To check the validity of a cointegration relationship estimated, I made the residual test based on the values of MacKinnon (1991). From the residual tests emerges th...
Tue Oct 06, 2009 3:32 pm
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 106
Views: 127088

### Re: Gregory-Hansen Cointegration Test

I have generated a new workfile in eviews without NA at the beginning as suggested by trubador. The code now works well. Thanks a lot trubador!
Tue Oct 06, 2009 6:39 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 106
Views: 127088

### Re: Gregory-Hansen Cointegration Test

I have tried to reduce the sample to 1955q1 2009q2, but the same error appears.
Tue Oct 06, 2009 5:51 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 106
Views: 127088

### Re: Gregory-Hansen Cointegration Test

I have tried to create independently the independents group in the line command and then recall it in the program as you suggested. But it appears the same error of near singluar matrix. If you have a little time you can prove. Thanks. I have also tried to reduce the trimming (I have simply change t...
Tue Oct 06, 2009 1:54 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 106
Views: 127088

### Re: Gregory-Hansen Cointegration Test

Here is the workfile with my code. Thanks.
Another question: if the potential structural break is at the end of sample (that is, 2004q1), GH test can ascertain it?
Tue Oct 06, 2009 1:30 am
Forum: Econometric Discussions
Topic: Structural break ath the end of the sample
Replies: 3
Views: 3350

### Structural break ath the end of the sample

Hi guys, I have a question. I estimated a cointegrating relationship with a DOLS for the period 1952q1-2008q4. From the residual analysis emerges clearly that this long run relationship exists only until period 1952q1-2003q4. After this period the test on residual rejects the hyopthesys of stationar...
Tue Oct 06, 2009 1:13 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 106
Views: 127088

### Re: Gregory-Hansen Cointegration Test

Sorry, I have a problem when I run the code selecting regime shift (that is, selecting 4 in the part "call greghansen(log_pce_r_pc,independents,4,"aic",8)"). Eviews gives this message of error: "Near Singular Matrix in "Do_ghc.ls Y C (@trend>35-2) G".
Mon Oct 05, 2009 5:31 pm
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 106
Views: 127088

### Re: Gregory-Hansen Cointegration Test

It works well now! Thanks a lot QMS Gareth! thanks also to trubador!
Mon Oct 05, 2009 4:53 pm
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 106
Views: 127088

### Re: Gregory-Hansen Cointegration Test

Ok, I send my workfile and the version of code used with the modifications suggested by trubador.
Mon Oct 05, 2009 2:48 pm
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 106
Views: 127088

### Re: Gregory-Hansen Cointegration Test

Thanks for you helpful trubador, but I have a problem. I have modified the code as you suggested me, but Eviews 6 gives this message of error: "!nindep is not defined or is an illegal command in "!nindep = G.@count"". What is the problem? Thanks again.
Davide
Mon Oct 05, 2009 10:10 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 106
Views: 127088

### Re: Gregory-Hansen Cointegration Test

Sorry guys, but I'm new in Eviews programe language and I have some problems to run Gregory Hansen code. I have to run this code on this regressione: pce (dependent variable) ylyt stnw nstnw fedf_n. Anyone could be so kind to suggest to me how I have to modify the above code? (that is, the rows of c...